ecmDiag {apt} | R Documentation |
Diagnostic Statitics for Symmetric or Asymmetric ECMs
Description
Report a set of diagnostic statistics for symmetric or asymmetric error correction models
Usage
ecmDiag(m, digits = 2)
Arguments
m |
an object of class |
digits |
number of digits used in rounding outputs. |
Details
Compute several diagnostic statistics for each ECM equation. This is mainly used to assess the serial correlation in the residuals and model adequacy.
Value
Return a data frame object with the following components by equation: R-squared, Adjusted R-squared, F-statistic, Durbin Watson statistic, p-value for DW statistic, AIC, BIC, and p-value of Ljung_Box Q statistics with 4, 8, 12 autocorrelation coefficients.
Author(s)
Changyou Sun (cs258@msstate.edu)
References
Enders, W. 2004. Applied Econometric Time Series. John Wiley & Sons, Inc., New York. 480 P.
See Also
ecmAsyFit
; ecmSymFit
; and ecmDiag
.
Examples
# see example at daVich